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Neil Shephard
Frank B. Baird Jr., Professor of Science. Professor of Economics and Professor of Statistics
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Neil Shephard
Frank B. Baird Jr., Professor of Science. Professor of Economics and Professor of Statistics
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Likelihood-based estimation of latent generalised ARCH structures
Likelihood-based estimation of latent generalised ARCH structures
Publication information:
Fiorentini, Enrique Sentana, and Neil Shephard. 2004. “Likelihood-Based Estimation of Latent Generalised ARCH Structures”.
Econometrica
72: 885-925.
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